It should be noted for clarity that when I talk about desktop hotswap stuff it is 90% of the time HDD/SSD related.
There are a couple cases that come with hotswap capability built in. Otherwise you have to buy a 5.25" -> 3.5" or 3.5" -> 2.5" hotswap unit. It is only worth it if you move around HDDs a lot.

I have a 3x 5.25 -> 4x 3.5" but you can get them in different capacities too. They just connect like any normal SATA device. I like mine at the top of my case with 24" SATA cables. :P
But you do need the free ports to support it and have your ports set to AHCI. The cables are attached to the box and the HDD itself or the HDD in a tray quickly slides in and out connecting to a backplane.
The downside is that they can be really expensive considering the basic materials involved.. >:(